Greek exposure
Vega impact: the Greek behind IV crush
Vega estimates how much an option's theoretical value changes for a one percentage-point change in implied volatility, holding other inputs constant.
Hypothetical example
An option priced at $4.20 has vega of 0.08. If IV drops 27 points after earnings, the first-order vega impact is 0.08 × -27 = -$2.16. A bullish call may need enough delta and gamma gain to overcome that loss.
Premium$4.20
Vega0.08
IV before75%
IV after48%
Estimated vega impact-$2.16
Why actual prices differ
Gamma changes delta as the stock moves, theta changes with time, skew can shift unevenly across strikes, and bid/ask spreads can make theoretical values hard to realize.
Primary reading: OIC implied volatility overview · OIC Vega guide · OIC volatility and Greeks · FINRA options basics and Greeks · SEC Investor Bulletin on options